Part of training the dog is taking him lots of different places, getting him used to strange sights, and sounds, etc. Once he's older, try beginning agility training.

A couple of years ago, Eukanuba sponsored a "puppy cam" for Canine Companions for Independence, showing a litter of potential assistance dogs from birth until 8 weeks old. Once the pups were running around, they had a miniature teeter-totter for them to run over, played loud recordings of fireworks, brought in vacuum cleaners, umbrellas, hair dryers, you name it. I don't know if that's standard for CCI pups, but my late Hysson (who was a CCI "second career" dog rejected at puppy turn-in time due to an overbite) was never bothered by any of these things, including the teeter-totter in beginning agility class and big (illegal) fireworks set off right next to him. I suspect, therefore, that he was exposed to all these things as a pup!

As Aimless says, any dog feels much more secure when on leash. Even more important, so do the people he meets! And you don't have to worry about him running off a cliff or bothering wildlife. (Especially such friendly animals as porcupines and bear.)